V-Lab: Capgemini SE MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Capgemini SE MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 14th, 2024:23.76% (-0.51%)

Analysis last updated: Tuesday, May 14, 2024 at 06:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	96
$α$	0.0155	10.40
$β$	0.9137	354.27
$γ$	0.0800	26.65
$λ_{1}$	0.0097	6.50
$λ_{2}$	0.0189	8.15
$λ_{3}$	0.9794	380.93

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts